Can stock market time the FPIs: a study of seasonality
by Parul Kumar; R.K. Sharma; Sunil Kumar; Deepali Ratra
International Journal of Technology Transfer and Commercialisation (IJTTC), Vol. 15, No. 3, 2017

Abstract: The purpose of the paper is to analyse the presence of the days of the week effect, quarter effect, and month effect on the net investment of foreign portfolio investors (FPI) in India. For this purpose, research has been conducted for the time period from 4th January 2000 till 30th November 2016. FPI's daily net inflows have been analysed for occurrence and existence of month effect along with day of the week and quarter effect. Interaction effect between the quarter, month and nifty returns has been also analysed. Augmented dummy regression with ARIMA and GARCH has been used to analyse presence of seasonal anomalies in FPIs. Results confirmed the presence of calendar effect i.e., December month of the year (December) effect on the FPIs. Also, Friday effect and the Quarter 4 effect were present in the investing pattern of FPIs. Study concluded that FPIs were more biased towards trading more on Fridays and in the month of December in the overall analysis. Also, the presence of quarter effect was seemed to be caused by the presence of month effect along with the nifty returns of those specific months. Hence, there exists the strong interaction effect among the anomalies in the FPI net investment to India.

Online publication date: Mon, 04-Dec-2017

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